If the issue is solely AVG, simply check "Append .!ut to incomplete files" in the uTorrent options so it won't scan those.
If not, or you use different AV/scanners, try adding an exception to the downloads folder (if on Vista/W7, make that directory unexecutable to avoid the hazard of the exception)
If still doesn't help, disable any registry cleaners running in the background if any, and turning off the automatic indexing (in Vista/W7), and disabling "diskio.sparse_files" in uTorrent advanced settings...